Ylinen, Juha Decoupling on the Wiener space and variational estimates for BSDEs. (English) Zbl 1356.60006 Report. University of Jyväskylä, Department of Mathematics and Statistics 148. Jyväskylä: University of Jyväskylä, Department of Mathematics and Statistics (Diss.) (ISBN 978-951-39-6193-0/pbk). 45 p. + 3 articles, not consecutively paged. (2015). Reviewer: Rainer Buckdahn (Brest) MSC: 60-02 60H10 60H07 60G44 46E35 × Cite Format Result Cite Review PDF
Pardoux, Etienne; Răşcanu, Aurel Stochastic differential equations, backward SDEs, partial differential equations. (English) Zbl 1321.60005 Stochastic Modelling and Applied Probability 69. Cham: Springer (ISBN 978-3-319-05713-2/hbk; 978-3-319-05714-9/ebook). xvii, 667 p. (2014). Reviewer: Rainer Buckdahn (Brest) MSC: 60-02 60H10 60H30 60H05 60H07 60H15 49J40 60J60 35D40 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Yanqing BSDEs with general filtration driven by Lévy processes, and an application in stochastic controllability. (English) Zbl 1261.93086 Syst. Control Lett. 62, No. 3, 242-247 (2013). MSC: 93E11 93B05 60H10 93C05 × Cite Format Result Cite Review PDF Full Text: DOI
Touzi, Nizar Optimal stochastic control, stochastic target problems, and backward SDE. (English) Zbl 1256.93008 Fields Institute Monographs 29. New York, NY: Springer; Toronto: The Fields Institute for Research in the Mathematical Sciences (ISBN 978-1-4614-4285-1/hbk; 978-1-4614-4286-8/ebook). x, 214 p. (2013). Reviewer: Tran Nhu Pham (Hanoi) MSC: 93-02 93E20 35D40 37N40 65M06 60H10 49L20 × Cite Format Result Cite Review PDF Full Text: DOI
Fan, Sheng Jun; Jiang, Long \(L^p\) solutions of finite and infinite time interval BSDEs with non-Lipschitz coefficients. (English) Zbl 1261.60053 Stochastics 84, No. 4, 487-506 (2012). Reviewer: Nikolaos Halidias (Athens) MSC: 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Dolinsky, Yan; Nutz, Marcel; Soner, H. Mete Weak approximation of \(G\)-expectations. (English) Zbl 1259.60073 Stochastic Processes Appl. 122, No. 2, 664-675 (2012). Reviewer: Klaus Schürger (Bonn) MSC: 60H30 60F05 60G44 91B25 91B30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Fan, Sheng Jun; Jiang, Long Existence and uniqueness result for a backward stochastic differential equation whose generator is Lipschitz continuous in \(y\) and uniformly continuous in \(z\). (English) Zbl 1218.60048 J. Appl. Math. Comput. 36, No. 1-2, 1-10 (2011). MSC: 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Peng, Shige; Yang, Zhe Anticipated backward stochastic differential equations. (English) Zbl 1186.60053 Ann. Probab. 37, No. 3, 877-902 (2009). Reviewer: Rainer Buckdahn (Brest) MSC: 60H10 60H20 93E03 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Wang, Wei Maximal inequalities for \(g\)-martingales. (English) Zbl 1174.60020 Stat. Probab. Lett. 79, No. 9, 1169-1174 (2009). Reviewer: Klaus Schürger (Bonn) MSC: 60G48 60H15 × Cite Format Result Cite Review PDF Full Text: DOI
Boufoussi, Brahim; van Casteren, Jan; Mrhardy, N. Generalized backward doubly stochastic differential equations and SPDEs with nonlinear Neumann boundary conditions. (English) Zbl 1135.60038 Bernoulli 13, No. 2, 423-446 (2007). Reviewer: Rainer Buckdahn (Brest) MSC: 60H15 60H10 35R60 60H30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Royer, Manuela Backward stochastic differential equations with jumps and related nonlinear expectations. (English) Zbl 1110.60062 Stochastic Processes Appl. 116, No. 10, 1358-1376 (2006). Reviewer: Henri Schurz (Carbondale) MSC: 60H10 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Chen, Zengjing; Kulperger, Reg; Wei, Gang A comonotonic theorem for BSDEs. (English) Zbl 1070.60050 Stochastic Processes Appl. 115, No. 1, 41-54 (2005). MSC: 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Bally, V.; Pardoux, E.; Stoica, L. Backward stochastic differential equations associated to a symmetric Markov process. (English) Zbl 1071.60067 Potential Anal. 22, No. 1, 17-60 (2005). Reviewer: Rainer Buckdahn (Brest) MSC: 60J60 60H10 35K55 35K45 × Cite Format Result Cite Review PDF Full Text: DOI Link
Lepeltier, J.-P.; Matoussi, A.; Xu, M. Reflected backward stochastic differential equations under monotonicity and general increasing growth conditions. (English) Zbl 1086.60035 Adv. Appl. Probab. 37, No. 1, 134-159 (2005). Reviewer: Volker Wihstutz (Charlotte) MSC: 60H10 60G40 × Cite Format Result Cite Review PDF Full Text: DOI
Gu, Yang-ling Infinite interval backward stochastic differential equations in the plane. (English) Zbl 1048.60046 Acta Math. Appl. Sin., Engl. Ser. 19, No. 3, 485-490 (2003). Reviewer: Rainer Buckdahn (Brest) MSC: 60H10 60H05 × Cite Format Result Cite Review PDF Full Text: DOI
Hamadène, Saïd Multidimensional backward stochastic differential equations with uniformly continuous coefficients. (English) Zbl 1048.60047 Bernoulli 9, No. 3, 517-534 (2003). Reviewer: Rainer Buckdahn (Brest) MSC: 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Briand, Philippe; Delyon, Bernard; Mémin, Jean On the robustness of backward stochastic differential equations. (English) Zbl 1058.60041 Stochastic Processes Appl. 97, No. 2, 229-253 (2002). Reviewer: Bohdan Maslowski (Praha) MSC: 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Fuhrman, Marco; Tessitore, Gianmario Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control. (English) Zbl 1017.60076 Ann. Probab. 30, No. 3, 1397-1465 (2002). Reviewer: Rainer Buckdahn (Brest) MSC: 60H30 35R15 49L20 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Chen, Zengjing; Wang, Xiangrong Comonotonicity of backward stochastic differential equations. (English) Zbl 1013.60038 Yong, Jiongmin (ed.), Recent developments in mathematical finance. Proceedings of the international conference on mathematical finance, Shanghai, China, May 10-13, 2001. Singapore: World Scientific. 28-38 (2002). MSC: 60H10 60H15 × Cite Format Result Cite Review PDF
Rainer, C. Backward stochastic differential equations with Azéma’s martingale. (English) Zbl 1011.60020 Stochastics Stochastics Rep. 73, No. 1-2, 65-98 (2002). Reviewer: Rainer Buckdahn (Brest) MSC: 60G44 60H30 34F05 × Cite Format Result Cite Review PDF Full Text: DOI
Hassani, Mohammed; Ouknine, Youssef Infinite dimensional BSDE with jumps. (English) Zbl 1002.60057 Stochastic Anal. Appl. 20, No. 3, 519-565 (2002). Reviewer: Rainer Buckdahn (Brest) MSC: 60H10 60H15 × Cite Format Result Cite Review PDF Full Text: DOI
Zaïdi, N. Lanjri; Nualart, D. Backward stochastic differential equations in the plane. (English) Zbl 0999.60053 Potential Anal. 16, No. 4, 373-386 (2002). Reviewer: Rainer Buckdahn (Brest) MSC: 60H10 60H20 × Cite Format Result Cite Review PDF Full Text: DOI
Lin, Jianzhong Adapted solution of a backward stochastic nonlinear Volterra integral equation. (English) Zbl 0999.60052 Stochastic Anal. Appl. 20, No. 1, 165-183 (2002). Reviewer: Rainer Buckdahn (Brest) MSC: 60H10 60H20 × Cite Format Result Cite Review PDF Full Text: DOI
Ma, J.; Yong, J. Approximate solvability of forward-backward stochastic differential equations. (English) Zbl 0996.60075 Appl. Math. Optimization 45, No. 1, 1-22 (2002). Reviewer: Rainer Buckdahn (Brest) MSC: 60H15 35R60 34F05 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Hu, Jinyan; Ji, Shaolin A kind of stochastic optimization problem solved by the BSDE method. (Chinese. English summary) Zbl 1031.93162 J. Shandong Univ., Nat. Sci. Ed. 36, No. 3, 282-286 (2001). Reviewer: Wu Chengxun (Shanghai) MSC: 93E20 60H10 × Cite Format Result Cite Review PDF
Ma, Jin; Cvitanić, Jakša Reflected forward-backward SDEs and obstacle problems with boundary conditions. (English) Zbl 1002.60065 J. Appl. Math. Stochastic Anal. 14, No. 2, 113-138 (2001). Reviewer: Rainer Buckdahn (Brest) MSC: 60H30 91A60 49J40 × Cite Format Result Cite Review PDF Full Text: DOI EuDML
Estrade, Anne; Pontier, Monique Backward stochastic differential equations in a Lie group. (English) Zbl 0980.60085 Azéma, Jacques (ed.) et al., Séminaire de Probabilités XXXV. Berlin: Springer. Lect. Notes Math. 1755, 241-259 (2001). Reviewer: Rainer Buckdahn (Brest) MSC: 60H10 60G44 22E25 × Cite Format Result Cite Review PDF Full Text: Numdam EuDML
Bally, V.; Matoussi, A. Weak solutions for SPDE’s and backward doubly stochastic differential equations. (English) Zbl 0982.60057 J. Theor. Probab. 14, No. 1, 125-164 (2001). Reviewer: Rainer Buckdahn (Brest) MSC: 60H15 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Briand, Philippe; Carmona, René BSDEs with polynomial growth generators. (English) Zbl 0979.60046 J. Appl. Math. Stochastic Anal. 13, No. 3, 207-238 (2000). Reviewer: C.Rainer MSC: 60H10 × Cite Format Result Cite Review PDF Full Text: DOI EuDML
Chen, Zengjing; Wang, Bo Infinite time interval BSDEs and the convergence of \(g\)-martingales. (English) Zbl 0982.60052 J. Aust. Math. Soc., Ser. A 69, No. 2, 187-211 (2000). Reviewer: Rainer Buckdahn (Brest) MSC: 60H10 60G48 × Cite Format Result Cite Review PDF
Briand, Philippe; Coquet, François; Hu, Ying; Mémin, Jean; Peng, Shige A converse comparison theorem for BSDEs and related properties of \(g\)-expectation. (English) Zbl 0966.60054 Electron. Commun. Probab. 5, 101-117 (2000). Reviewer: Rainer Buckdahn (Brest) MSC: 60H10 60H30 × Cite Format Result Cite Review PDF Full Text: DOI EuDML EMIS
Buckdahn, Rainer; Quincampoix, Marc; Răşcanu, Aurel Viability property for a backward stochastic differential equation and applications to partial differential equations. (English) Zbl 0969.60061 Probab. Theory Relat. Fields 116, No. 4, 485-504 (2000). Reviewer: Mihai Gradinaru (Nancy) MSC: 60H10 60H30 35K65 35D05 49L25 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Weihai; Yuan, Fuyu The relation between stabilizability and exact controllability of stochastic systems. (English) Zbl 1031.93043 Control Theory Appl. 16, No. 3, 419-421 (1999). Reviewer: J.Klamka (Katowice) MSC: 93B05 93E03 93D15 × Cite Format Result Cite Review PDF
Pardoux, Étienne BSDEs, weak convergence and homogenization of semilinear PDEs. (English) Zbl 0959.60049 Clarke, F. H. (ed.) et al., Nonlinear analysis, differential equations and control. Proceedings of the NATO Advanced Study Institute and séminaire de mathématiques supérieures, Montréal, Canada, July 27-August 7, 1998. Dordrecht: Kluwer Academic Publishers. NATO ASI Ser., Ser. C, Math. Phys. Sci. 528, 503-549 (1999). Reviewer: David Nualart (Barcelona) MSC: 60H15 93E03 35R60 × Cite Format Result Cite Review PDF
Ma, Jin; Yong, Jiongmin Forward-backward stochastic differential equations and their applications. (English) Zbl 0927.60004 Lecture Notes in Mathematics. 1702. Berlin: Springer. xiii, 270 p. (1999). Reviewer: R.Buckdahn (Brest) MSC: 60-02 60H10 60H30 60H15 × Cite Format Result Cite Review PDF Full Text: DOI
Briand, Philippe; Hu, Ying Probabilistic approach to singular perturbations of semilinear and quasilinear parabolic PDEs. (English) Zbl 0922.60055 Nonlinear Anal., Theory Methods Appl. 35, No. 7, A, 815-831 (1999). Reviewer: R.Buckdahn (Brest) MSC: 60H15 35R60 × Cite Format Result Cite Review PDF Full Text: DOI
Pardoux, Étienne Backward stochastic differential equations and viscosity solutions of systems of semilinear parabolic and elliptic PDEs of second order. (English) Zbl 0893.60036 Decreusefond, Laurent (ed.) et al., Stochastic analysis and related topics VI. Proceedings of the 6th Oslo-Silivri workshop, Geilo, Norway, July 29–August 6, 1996. Boston, MA: Birkhäuser. Prog. Probab. 42, 79-127 (1998). Reviewer: R.Buckdahn (Brest) MSC: 60H15 × Cite Format Result Cite Review PDF
Barles, Guy; Buckdahn, Rainer; Pardoux, Etienne Backward stochastic differential equations and integral-partial differential equations. (English) Zbl 0878.60036 Stochastics Stochastics Rep. 60, No. 1-2, 57-83 (1997). Reviewer: J.-P.Lepeltier (Le Mans) MSC: 60H10 60G44 35K55 × Cite Format Result Cite Review PDF Full Text: DOI
Buckdahn, Rainer; Quincampoix, Marc; Rascanu, Aurel Viability for backward stochastic differential equations, applications to PDE’s. (Propriété de viabilité pour des équations différentielles stochastiques rétrogrades et applications à des équations aux dérivées partielles.) (French) Zbl 0906.34040 C. R. Acad. Sci., Paris, Sér. I, Math. 325, No. 11, 1159-1162 (1997). Reviewer: Henri Schurz (Bogotá) MSC: 34F05 60H20 60H30 35C15 × Cite Format Result Cite Review PDF Full Text: DOI
El Karoui, N.; Quenez, M. C. Imperfect markets and backward stochastic differential equations. (English) Zbl 0898.90032 Rogers, L. C. G. (ed.) et al., Numerical methods in finance. Session at the Isaac Newton Institute, Cambridge, GB, 1995. Cambridge: Cambridge Univ. Press. 181-214 (1997). MSC: 91B24 60H15 91B28 × Cite Format Result Cite Review PDF
El Karoui, N. Backward stochastic differential equations. A general introduction. (English) Zbl 0886.60054 El Karoui, Nicole (ed.) et al., Backward stochastic differential equations. Harlow: Longman. Pitman Res. Notes Math. Ser. 364, 7-26 (1997). Reviewer: R.Buckdahn (Brest) MSC: 60H10 × Cite Format Result Cite Review PDF
Mao, Xuerong Backward stochastic differential equations and quasilinear partial differential equations. (English) Zbl 0830.60054 Etheridge, Alison (ed.), Stochastic partial differential equations. Proceedings of an ICMS workshop held in Edinburgh, UK in March 1994. Cambridge: Cambridge University Press. Lond. Math. Soc. Lect. Note Ser. 216, 189-208 (1995). Reviewer: M.Schweizer (Berlin) MSC: 60H10 60H15 58J65 × Cite Format Result Cite Review PDF
Pardoux, E.; Peng, S. Backward stochastic differential equations and quasilinear parabolic partial differential equations. (English) Zbl 0766.60079 Stochastic partial differential equations and their applications, Proc. IFIP Int. Conf., Charlotte/NC (USA) 1991, Lect. Notes Control Inf. Sci. 176, 200-217 (1992). Reviewer: S.Peng (Jinan) MSC: 60H15 60J60 × Cite Format Result Cite Review PDF